Which dialect of Markdown is that from? I don’t believe “standard” Markdown has that in. What I use (and in my code process, but that’s a different story) using the <ins> HTML tag. (You can embed HTML in Markdown - for most Markdown processors.)

Normal Markdown doesn't have any native syntax for underlining - __underline__ produces underline, i. e. bold text. In standard Markdown, __bold__ is equivalent to **bold**, and _italic_ is the same as *italic*.

Chat applications like Discord, Slack and Mattermost support syntax that is similar to normal Markdown, but isn't completely compatible (they include some custom features that don't exist in Markdown, and don't understand all standard Markdown syntax). Discord's underline feature is an example of that.